Private messages are where trust is developed and secrets are told. You see a lot more of the person when they feel comfortable with you. Hell, I fell in love over PM and flew to NYC....sweet memories and a lost dream. I love messages, I really do, they are a window to the soul.
Private messages are where friendships and romances develop, arguments happen... You name it. I formed my relationship with my fiance through a PM he sent me one night. Well, I mean, that is where it started.